I have been investigating VelocityShare’s XIV inverse volatility ETN, and I’m very impressed. I’ve backtested it through the beginning of 2010 and I’m getting some very attractive numbers—150% gain for the year. At the worst of the Flash Crash it would have gone down around 20% YTD, which is better than I would have expected. This looks like the first volatility ETN/ETF that warrants a buy and hold approach—although I think a trailing stop of around 3% is probably a better strategy.
Bought XIV at 122.42 today. The spread was running about $0.20. I hit the ask, rather than try to split the spread.